Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 10 | 10 | 10 |
| Score | 9.5 | 8.62 | 8.6 |
| Market Cap (Millions USD) | 4344.92 | 4124.39 | 4159.34 |
| Predicted Beta | 3.25 | 3.22 | 3.15 |
| Idiosyncratic Volatility | 2.81 | 3.65 | 3.78 |
Annualized return and volatility
| IYW | |
|---|---|
| Annualized Return | 0.0449 |
| Annualized Std Dev | 0.2656 |
| Annualized Sharpe (Rf=0%) | 0.1692 |
Row
Daily Return Statistics
| IYW | |
|---|---|
| Observations | 5015.0000 |
| NAs | 99.0000 |
| Minimum | -0.0838 |
| Quartile 1 | -0.0066 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1779 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0167 |
| Skewness | 0.4929 |
| Kurtosis | 8.0067 |
Downside Risk
| IYW | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0126 |
| Loss Deviation | 0.0124 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.8190 |
| Historical VaR (95%) | -0.0273 |
| Historical ES (95%) | -0.0396 |
| Modified VaR (95%) | -0.0221 |
| Modified ES (95%) | -0.0221 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-07-18 | 2002-10-09 | 2017-01-11 | -0.8190 | 4220 | 568 | 3652 |
| 2018-08-30 | 2018-12-24 | 2019-03-21 | -0.2396 | 142 | 82 | 60 |
| 2019-04-30 | 2019-06-03 | 2019-07-12 | -0.1291 | 53 | 25 | 28 |
| 2018-01-29 | 2018-02-08 | 2018-02-26 | -0.1054 | 20 | 9 | 11 |
| 2018-03-13 | 2018-04-02 | 2018-06-01 | -0.1021 | 58 | 15 | 43 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYW | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 2.4 | 0.0 | -1.9 | 0.3 | 0.0 | -1.1 | 1.5 | 0 | 1.1 |
| 2001 | -0.2 | 3.7 | 0.0 | 2.0 | 2.0 | 0.0 | 2.5 | 0.0 | -1.7 | 2.7 | 0.0 | 0 | 11.5 |
| 2002 | -1.2 | 6.2 | 1.0 | -0.9 | 0.0 | -4.6 | -4.9 | 0.0 | 3.9 | 2.9 | 0.0 | 0 | 2.0 |
| 2003 | 0.0 | 0.0 | -0.3 | 0.7 | 0.0 | 1.2 | -0.6 | 0.0 | 2.0 | 0.0 | 0.8 | 0 | 3.8 |
| 2004 | 0.0 | 1.2 | 0.5 | 0.0 | -0.6 | -2.2 | 0.0 | 0.5 | 3.3 | 0.6 | 2.1 | 0 | 5.4 |
| 2005 | 0.6 | 1.2 | -0.7 | 0.0 | 0.9 | 0.3 | 0.0 | -0.5 | 0.0 | 0.4 | 1.5 | 0 | 3.8 |
| 2006 | 0.6 | 2.1 | 0.0 | -0.8 | 1.8 | 0.0 | -1.6 | 0.2 | 0.0 | -0.9 | -1.2 | 0 | 0.1 |
| 2007 | -0.1 | -0.5 | 0.0 | 0.4 | 0.0 | 0.0 | 1.1 | 0.0 | 1.3 | -1.3 | 0.0 | 0 | 0.9 |
| 2008 | 1.0 | 0.0 | 3.5 | 2.9 | 0.0 | 0.3 | -0.6 | 0.0 | -1.3 | 0.0 | -7.2 | 0 | -1.9 |
| 2009 | 0.0 | 0.0 | 2.2 | 0.6 | 3.4 | 0.7 | 0.0 | -2.1 | -3.0 | 0.0 | 1.4 | 0 | 3.2 |
| 2010 | 1.6 | 1.3 | 0.1 | 0.0 | -1.1 | -0.4 | 0.0 | 2.6 | -0.1 | 0.3 | 2.2 | 0 | 6.6 |
| 2011 | 1.8 | -1.8 | -0.3 | 0.0 | -2.3 | 1.6 | -0.2 | -1.2 | 0.0 | -2.9 | 0.5 | 0 | -4.9 |
| 2012 | 1.1 | 0.7 | 0.0 | 0.3 | -2.8 | 0.0 | -0.4 | 0.0 | -0.4 | 1.8 | 0.0 | 0 | 0.2 |
| 2013 | 0.9 | 0.1 | -1.1 | -0.8 | 0.0 | 0.7 | 1.1 | 0.0 | 1.1 | 0.0 | 0.0 | 0 | 1.9 |
| 2014 | 0.0 | 0.0 | 1.4 | -0.2 | 0.0 | 1.0 | -0.5 | 0.0 | -1.7 | 0.0 | -1.3 | 0 | -1.4 |
| 2015 | 0.0 | 0.0 | -0.5 | 1.5 | 0.3 | 0.4 | 0.0 | -3.3 | 0.0 | 0.0 | 1.1 | 0 | -0.7 |
| 2016 | 0.2 | 3.1 | 0.7 | 0.0 | -0.2 | 0.0 | 0.5 | 0.4 | 0.0 | -0.8 | -2.5 | 0 | 1.4 |
| 2017 | 1.0 | 1.4 | 0.0 | 1.0 | 0.3 | 0.0 | 0.4 | 0.0 | 0.0 | -0.1 | -0.5 | 0 | 3.6 |
| 2018 | 0.0 | -1.6 | 0.0 | 1.3 | 1.9 | 0.0 | 1.0 | 0.0 | 0.1 | 1.1 | 0.0 | 0 | 3.8 |
| 2019 | 0.3 | 0.7 | 1.4 | -0.4 | 0.0 | 1.6 | -0.6 | 0.0 | -1.0 | 1.3 | 0.0 | 0 | 3.2 |
Row
Rolling Performance Chart
Snail Trail Chart
